Religion is as old as the human ability to communicate, so if you’re creating your own world, then this is something you should definitely include. However, building your own religion isn’t easy – especially building several if you want to have a fully fleshed out, diverse world. This post just has some starting considerations for you, but they should help you get on the right track.
Religions typically break down into one of three types: monotheistic, polytheistic, or nontheistic. Monotheistic religions, such as Christianity, believe there to be only one true god/goddess/superhuman being. Polytheistic religions, such as Wicca, believe in multiple deities. Nontheistic religions are ones that do not believe in a god or gods, but this doesn’t exclude a belief in spirituality. Atheism and Buddhism are both considered nontheistic religions. There is also pantheism, the belief that the entire universe is part of an all-compassing being. Hinduism is sometimes argued to be this. These are not the only types of religion, but this will cover most beliefs.
Once you decide what type of religion it will be, you then may need to develop your deities. How many are there? What are their names? Are they humanoid or completely different? Do they actually exist? If so, do they interfere with mortal affairs? Or are they more of a “watchmaker” type? How much power do they actually hold? What are their limitations? Their weaknesses? Can they die?
Most religions have some kind of rituals. This can be anything from prayer to going to church/temple at a certain time every x number of days/weeks/months to sacrificing something in an attempt to appease the god(s). What do the members of your religion do? And who does it? Is it just “normal” people associated with the religion, or is there some kind of hierarchy? Where do they meet? What kind of holidays are there, and what behaviors are expected on these holidays?
Is there any type of specific clothing related to your religion? This might be especially useful if this is a big part of your story, as it gives the narrator a way to quickly identify a character who is a follower. This can be as simple as wearing the religion’s symbol on a necklace to the leader of the religion’s dress. Be sure to think about what people at different levels would wear regularly, as well. For example, general followers of Catholicism don’t go around wearing habits all the time, but nuns do.
What kind of morality does your religion have? What does it value? What does it scorn? How are these embodied in the deity or deities it worships? Are these expressed through some kind of holy text, or are they spread via word of mouth? What kind of behavior is expected from the followers? What are consequences of disobeying these morals, both in the physical realm and the supernatural? Will they have to pay penance in some kind of hell? What are the consequences of following these morals, both in the physical realm and the supernatural?
How is your religion accepted by non-believers? How does your religion feel about non-believers? What about the country your characters are in? Are there laws mandating religion? Does the country your characters live in require belief in a certain religion? If the country is religious, how does that affect its relationship with other countries?
These are just some basic questions to get you started thinking about your world building, but this doesn’t even begin to scratch the surface. If religion is going to be a big part of your story, you’ll need to spend a lot of time digging deep into these questions and doing research to form something coherent and reasonable for your world.